V-Lab: Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:5.34% (-0.13%)

Analysis last updated: Friday, May 10, 2024 at 08:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0009	18.98
$α$	0.0483	38.30
$β$	0.9440	738.10

Estimation Period:
Dec 29, 1989 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD Analyses
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH